16-052/III - An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors

• Authors
  Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Chien-Hsun Wang, National Tsing Hua University, Taiwan
• Publication date
  July 18, 2016

• Keywords
  Exchange traded funds, financial and energy sectors, co-volatility spillovers, spot and futures prices, generated regressors, Diagonal BEKK
• JEL
  C58, G13, G23, G31, Q41